Pandas OHLC aggregation on OHLC data

This is similar to the answer you linked, but it a little cleaner, and faster, because it uses the optimized aggregations, rather than lambdas.

Note that the resample(...).agg(...) syntax requires pandas version 0.18.0.

In [101]: df.resample('1H').agg({'openbid': 'first', 
                                 'highbid': 'max', 
                                 'lowbid': 'min', 
                                 'closebid': 'last'})
Out[101]: 
                      lowbid  highbid  closebid  openbid
ctime                                                   
2015-09-30 23:00:00  1.11687  1.11712   1.11708    1.117

You need to use an OrderedDict to keep row order in the newer versions of pandas, like so:

import pandas as pd
from collections import OrderedDict

df['ctime'] = pd.to_datetime(df['ctime'], unit='s')
df = df.set_index('ctime')
df = df.resample('5Min').agg(
    OrderedDict([
        ('open', 'first'),
        ('high', 'max'),
        ('low', 'min'),
        ('close', 'last'),
        ('volume', 'sum'),
    ])
)